Hi, I am having an objective function of the form:
Aforementioned constraint is a nonlinear one with I am looking forward for linearising this constraint. Any help will be appreciated. Regards, 
If nothing else, you can solve a series of problems by doing binary search on the objective. If the objective is to maximize the value (it is a bit confusing: I would have thought ROI included cost values, but I'll assume you are modeling what you want), then if you want to see if value V is feasible, put in the constraint sum(i in iterator) ROI(i)binary(i) >= sum(i in iterator) Vcost(i)*binary(i) Do binary search on V and take the largest feasible value. answered 05 Sep '12, 15:08 Michael Trick ♦♦ Thanks for your input Michael. Though I am not able to understand it completely as I am not getting what do you mean by performing a binary search on V. Does it mean the following: Max V s.t. sum(i in iterator) ROI(i)binary(i) >= V * (sum(i in iterator) cost(i)*binary(i)) other constraints If this is what you mean then it should also work in the desired manner; however the problem will now be quadratrically constrained problem than a problem with nonlinear objective function. Does this type of problems are lesser complex than the former one. Regards, Abhi
(05 Sep '12, 15:43)
abhiieor
In essence the linearization objective is still missing.
(05 Sep '12, 15:44)
abhiieor
Fix V at 100. Now the problem is linear. If feasible, try V at 200; if not try V at 50. Keep solving problems until you find the highest possible V. If you have an upper bound U on the objective, and your goal is to get with eps of optimal (say, eps=.0001) then you solve log(U/eps) problems (in this case you would start with U/2).
(05 Sep '12, 16:04)
Michael Trick ♦♦

First write as minimize t
This is linearized using standard bigM methods. Introduce new variable w(i) to represent binary(i)*t.
M is a suffiently large constant for bigM to be correct, for instance sum(cost)/min(ROI) which is an upper bound on optimal t. Maximization follows using similar approach answered 06 Sep '12, 04:21 Johan Löfberg 
where both f and g are linear , can be solved by successive LPs You begin with an initial point
You can see that while answered 07 Sep '12, 17:49 Davidoff 
Ignoring the binary nature of the dec. var.s, one would apply CharnesCooper transformation to yield a nonfractional program. In presence of int. and/or bin. var.s, the situation is a little "trickier"; but googling for "int. (lin.)", "0/1", & "bin. fract. progr." gave me some results you might like to look into.
PS: The problem here is a somewhat diff. from yours, but ...maybe remodeling is an option.